I think it would be scary for them! With the loud noise plus the blast of air! Also, a hair dryer may be to hot for their sensitive skin. And I think it would dry out their skin.
To dry my hedgehog, I put a couple towels in the dryer for a couple minutes so they are warm. When the first towel get damp and chilly, I switch to the other one. Sometimes I will put her on a heating pad on its lowest setting which she seems to like